Abstract: With the acceleration of financial globalization, the characteristics of risk spillovers in financial markets have become more and more obvious. Clarifying the risk spillover effects of the international oil market, the international gold market, and the international exchange rate market on the stock markets has important theoretical value and practical significance for the asset allocations of international investors and risk managers, and the policy formulation of regulators. In order to analyze the risk spillover effects of international financial markets on Chinese financial market, we select Chinese stock market, international oil market, international gold market, and international foreign exchange market as research objects.
Our research has the following two main implications. First, the combination of CoVaR method and high-dimensional dynamic Vine Copula model can not only characterize the dynamic nonlinear dependence structure between high-dimensional financial markets, but also measure the time-varying risk spillover effects of international financial markets on Chinses financial markets. Secondly,we propose a novel stress testing method based on the high-dimensional dynamic Vine Copula model, which extends the traditional single-market risk spillover to the pressure of multi-market scenarios and provides a new idea for the study of risk spillover effect between high-dimensional financial markets.This paper uses WTI crude oil prices, international gold prices, US dollar index, and CSI 300 index to represent various financial markets, and the relevant data are all from the Wind database. The sample spanned from July 2, 2009 to July 2, 2020.In practice, we first construct the joint distribution of high-dimensional financial markets based on the dynamic Vine Copula model and describe the dynamic nonlinear dependence relationship between financial markets. Then, the CoVaR of the Chinese stock market under different financial market conditions is calculated to analyze the risk spillover effects of the international financial market on the Chinese stock market. Finally, the Stress Testing method is used to simulate the changes of the quantile of the conditions of the Chinese stock market when the risk occurs in the joint financial market composed of the internationaloil market, the international gold market, and the international foreign exchange market. The heterogeneity, sensitivity and asymmetry of the joint financial market under different pressure scenarios are investigated by calculating the corresponding risk spillover index.
The empirical results show that: First, the international financial markets have significant positive risk spillover effects on the Chinese financial market, but there are differences in the risk spillover intensity of different financial markets.The risk spillover effects of the international oil market on the Chinese stock market are significantly greater than those of the international gold market and the international foreign exchange market. Second, the upside and downside risk spillover effects of the international financial market on Chinese financial market are asymmetric. Chinese financial market is more sensitive to the positive impact of international financial market. Third, the Stress Testing method based on the dynamic Vine Copula model can effectively characterize the risk spillover effects of multiple financial markets on a single financial market, and the risk spillover intensity of multiple financial markets at the same time is greater than that of any financial market, indicating that there is superposition effect on the risk spillover of the financial market.
The conclusions of this paper can provide an important reference for the decision-making behavior of different financial market entities. For regulators, they should pay attention not only to the internal risks of Chinese financial market, but also to the risk spillover effects of the international financial market. When the extreme risk occurs in the international financial market, it is necessary not only to prevent the systemic risk impact of the international financial market on Chinese financial market, but also to curb the occurrence of financial speculation. In addition, regulators should carry out differentiated risk prevention according to the degree of risk contribution of different financial markets to the Chinese financial market and focus on strengthening the resolution of risk shocks in the international oil market. For investors and risk managers, they should fully consider the risk spillover effects of the international financial market on the Chinese financial market, pay more attention to indicators such as the net long position in the international oil market, and flexibly establish and adjust investment portfolios.

Key words: risk spillover effects, high-dimensional dynamic Vine Copula model, Stress Testing method, CoVaR method, Chinese financial market

摘要： 随着金融全球化进程的加速,国际金融市场间的联系日益紧密,深入分析国际金融市场对中国金融市场的风险溢出效应具有重要意义。本文首先基于高维动态Vine Copula模型构建高维金融市场的联合分布函数,然后运用条件在险价值方法测度国际原油市场、国际黄金市场以及国际外汇市场对中国股票市场的风险溢出效应,最后采用压力测试方法从多市场情景压力的视角进行稳健性检验。研究显示:国际金融市场对中国金融市场具有显著的风险溢出效应,但不同国际金融市场的风险溢出强度存在显著差异;国际金融市场对中国金融市场的上行风险溢出效应显著大于下行风险溢出效应,风险溢出强度呈现出非对称性特征;基于高维动态Vine Copula模型的压力测试方法可以有效度量多个金融市场对单一金融市场的风险溢出效应。本文针对投资者、风险管理者以及监管者提出了相应的政策建议。

关键词: 风险溢出效应, 高维动态Vine Copula模型, Stress Testing方法, CoVaR方法, 中国金融市场